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Best data feed for backtesting?
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Best data feed for backtesting?

  #11 (permalink)
Membership Revoked
Szczecin
 
Futures Experience: Intermediate
Platform: Ninja, writing own now
 
Posts: 212 since Mar 2010
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Still Nanex, but besids needing a programmer make sure you aer preapred to HANDLE that

I ahve CME from December 2010 to now -around 600gigabyte tape files, pre prosssing.

Equity 2008 till now? 4000gigabyte.

OPRA to that - 40.000 gigabyte

THE best feed, but nothing you can deal with on a small home computer with a large CPU only - you need storage arrays with decent IO performance. Enterprise level setup. Even the CME data is not trivial to process - you may want toparalellize data extraction (obviously), but reading multiple files even from a 4 disc RAID 5 slows seriously down once you do that for 6-8 files (been there, seen that - in my case it is easier to copy them one by one to a local SSD, then process local, then delete from SSD ...).

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  #12 (permalink)
Scarecrow
CA USA
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: DDT+land/Rithmic/IQ
Favorite Futures: S&P500,6E,YM
 
program's Avatar
 
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NetTecture View Post
Still Nanex, but besids needing a programmer make sure you aer preapred to HANDLE that

I ahve CME from December 2010 to now -around 600gigabyte tape files, pre prosssing.

Equity 2008 till now? 4000gigabyte.

OPRA to that - 40.000 gigabyte

THE best feed, but nothing you can deal with on a small home computer with a large CPU only - you need storage arrays with decent IO performance. Enterprise level setup. Even the CME data is not trivial to process - you may want toparalellize data extraction (obviously), but reading multiple files even from a 4 disc RAID 5 slows seriously down once you do that for 6-8 files (been there, seen that - in my case it is easier to copy them one by one to a local SSD, then process local, then delete from SSD ...).

Wow!!!! thats way over my head...

Corinne View Post
Hi,

This is my first post on futures.io (formerly BMT). Xyzzy's post pretty much described my situation...developing autotrading strategy using Multicharts for backtesting, trading through IB and am looking for a quality data provider with historical minute data going back +10 years.

I've been trying out DTN IQFeed for a couple of weeks and I finally figured out that IQFeed does not provide weekend data. I first noticed the weekend data gaps because the backtesting results always look unreasonable on the weekends. Has anyone also come across this a problem?

Is the top recommended data feed provider still Nanex/NXcore?

What are some other quality data feed provider I can explore...long historical minute data with weekend data and reasonably priced? Metastock? eSignal? FXCM?

Thanks.

the only one i can think of that fills your historical data needs would be tradestation.... otherwise i'd suggest sticking with IQ and downloading ASCII files. I downloaded 10+ years of ES tick data right here from futures.io (formerly BMT). you need to become an elite member though. But i can honestly say it being an elite member was easily one of the ten best investments i've made.


I have approximate answers, possible beliefs and different degrees of certainty of different things. But I'm not absolutely sure of anything and there are many things i don't know anything about.
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  #13 (permalink)
Elite Member
Toronto, Ontario, Canada
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: forex, gold
 
Posts: 4 since Jul 2012
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;244512
Still Nanex, but besids needing a programmer make sure you aer preapred to HANDLE that

Thanks, NetTecture. Iím not ready for Nanex yet.


program View Post
the only one i can think of that fills your historical data needs would be tradestation.... otherwise i'd suggest sticking with IQ and downloading ASCII files. I downloaded 10+ years of ES tick data right here from futures.io (formerly BMT). you need to become an elite member though. But i can honestly say it being an elite member was easily one of the ten best investments i've made.

Thanks, program. Iíll explore your data suggestions and futures.io (formerly BMT) elite membership as well.

A friend of mine found this last night: histdata dot com. Has anyone heard of or used their data? Iím going to look into it today.

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  #14 (permalink)
Man wearing a tuque
Calgary, Canada
 
Futures Experience: Intermediate
Platform: Multicharts
Broker/Data: IB, IQFeed
Favorite Futures: GC
 
Lampert's Avatar
 
Posts: 76 since Nov 2011
Thanks: 73 given, 131 received


Corinne View Post
Hi,

This is my first post on futures.io (formerly BMT). Xyzzy's post pretty much described my situation...developing autotrading strategy using Multicharts for backtesting, trading through IB and am looking for a quality data provider with historical minute data going back +10 years.

I've been trying out DTN IQFeed for a couple of weeks and I finally figured out that IQFeed does not provide weekend data. I first noticed the weekend data gaps because the backtesting results always look unreasonable on the weekends. Has anyone also come across this a problem?

Is the top recommended data feed provider still Nanex/NXcore?

What are some other quality data feed provider I can explore...long historical minute data with weekend data and reasonably priced? Metastock? eSignal? FXCM?

Thanks.

Corinne - I have the same setup as you (IQFeed-Multicharts-IB). I assume you are interested in forex because equities and futures do not have weekend data. Here are a few comments:
  • The historical data in the futures.io (formerly BMT) elite section is mostly tick data for several different futures (ES, CL, TF, 6E). There is no forex data.
  • IQFeed provides forex data from two sources - FXCM and Tenfore (which is now owned by Morningstar)
  • The FXCM 1 minute data from IQFeed goes back seven years (to Feb 2005)
  • FXCM only provides data from 5:15 pm Sunday to 5 pm Friday - see reference page (no weekend data)
  • Tenfore data may be more extensive as this is a premium service from IQFeed ($50/month). You would have to ask IQFeed for details.
Personally I am very happy with IQFeed data (realtime and historical). Because the FXCM historical data is essentially free with the IQFeed basic service, you might consider simply modifying your backtesting to exclude the weekend periods.

Len

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  #15 (permalink)
Elite Member
Toronto, Ontario, Canada
 
Futures Experience: Intermediate
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Favorite Futures: forex, gold
 
Posts: 4 since Jul 2012
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Lampert View Post
Personally I am very happy with IQFeed data (realtime and historical). Because the FXCM historical data is essentially free with the IQFeed basic service, you might consider simply modifying your backtesting to exclude the weekend periods.

Thanks for the info, Len. I'm thinking about excluding weekends in my backtesting too. There shouldn't be much, if any, effect on the day trades but what if I have an open swing trade that I carry over the weekend?

I also wonder how that would affect the backtest results. Wouldn't the weekend data gap somewhat distorts many of the indicator values e.g. moving averages, adx...?

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  #16 (permalink)
Man wearing a tuque
Calgary, Canada
 
Futures Experience: Intermediate
Platform: Multicharts
Broker/Data: IB, IQFeed
Favorite Futures: GC
 
Lampert's Avatar
 
Posts: 76 since Nov 2011
Thanks: 73 given, 131 received


Corinne View Post
Thanks for the info, Len. I'm thinking about excluding weekends in my backtesting too. There shouldn't be much, if any, effect on the day trades but what if I have an open swing trade that I carry over the weekend?

I also wonder how that would affect the backtest results. Wouldn't the weekend data gap somewhat distorts many of the indicator values e.g. moving averages, adx...?

Corinne - Yes price gaps over the weekend will affect open positions and indicators. If this is significant with your strategy, you can choose to delay opening any positions after the weekend until the indicators are reasonable and to close all positions by the end of the week.

Len

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